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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 94f65d52..149e5e05 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -183,6 +183,10 @@ class TrancheBasket(BasketIndex): def recovery_rates(self): return np.array([c.recovery_rates[0] for c in self.curves]) + def tranche_duration(self, complement=False): + cl, _, _ = self.tranche_pvs(complement=complement) + return cl - cds_accrued(self.trade_date, self.tranche_quotes.running) + def tranche_theta(self, shortened=4, complement=False, method='ATM'): N = len(self.cs) - shortened indexshort = deepcopy(self) |